PT  - JOURNAL ARTICLE
AU  - Richard J. Rendleman, Jr
TI  - Duration–Based Hedging with Treasury Bond Futures
AID  - 10.3905/jfi.1999.319233
DP  - 1999 Jun 30
TA  - The Journal of Fixed Income
PG  - 84--91
VI  - 9
IP  - 1
4099  - https://pm-research.com/content/9/1/84.short
4100  - https://pm-research.com/content/9/1/84.full
AB  - A survey of derivatives textbooks and other documents shows at east four different treatments of duration-based hedging with Treasury bond futures. Most hedging methods also employ an incorrect definition of futures duration, and, in some cases, apply the accrued interest pricing method incorrectly This article develops an alternative model that is mathematically identical to the most frequently advocated hedging formula and helps to reconcile the various approaches to hedging. It also demonstrates a potential maturity mismatch problem that can represent 10% or more of a typical hedging quantity.